碩士 / 銘傳大學 / 經濟學系碩士在職專班 / 93 / This paper foucs on the simulation of the VaR and credit risk for non-life insurance company’s foreign investment.Besides, we also calculates the minimum capital requirements and compares with Risk Based. Capital (hence RBC) system. The VaR model can consider the complete foreign investment risk and test the evaluation performances by backtesting. However, RBC system calculate the risk by different credit risk and weights which are reasonable or not will affect the evaluation. Manages the internal risk by VaR will serve as the auxiliary tool of RBC system. Our empirmental results will provide a reference for the evaluation of foreign investment risk for non-life insurance company.
| Identifer | oai:union.ndltd.org:TW/093MCU05389002 |
| Date | January 2005 |
| Creators | May-Jane Fu, 傅媺真 |
| Contributors | Wo-Chiang Lee, Chien-Shin Huang, 李沃牆, 黃建森 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 57 |
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